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RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
a
τ
=
1
τ
(
(
K
*
μ
*
)
′
(
M
1
,
τ
−
τ
I
)
K
*
−
1
′
1
−
1
2
1
′
K
*
−
1
(
M
2
,
τ
−
∑
∑
′
M
1
,
τ
−
M
′
1
,
τ
∑
∑
′
+
τ
∑
∑
′
)
K
*
−
1
′
1
+
τ
ρ
)
b
τ
=
1
τ
M
1
,
τ
1
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